Assume That Stock Market Returns Do Follow a Single-Index Structure

question 30

Multiple Choice

Assume that stock market returns do follow a single-index structure. An investment fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained by 175 investments. They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

• A) 175; 15,225
• B) 175; 175
• C) 15,225; 175
• D) 15,225; 15,225